This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses,...

The paper proposes an innovative framework for characterizing investors' behavior in portfolio selection. The approach is based on the realistic perspective of unknown investors' utility and incomplete information on returns distribution. Using a four-moment generalization of the Chebyshev...

"Portfolio performance measures are a key factor in the investment decision, enabling investors to gauge how effectively their money is being managed, covering the level of risk as well as the level of return. Effective and accurate portfolio performance measurement is a fundamental requirement...